Chap001投资环境

INVESTMENTS|BODIE,KANE,MARCUSCopyright©2011byTheMcGraw-HillCompanies,Inc.Allrightsreserved.McGraw-Hill/IrwinChapter1TheInvestmentEnvironment投资环境INVESTMENTS|BODIE,KANE,MARCUS1-2RealAssetsVersusFinancialAssets实物资产VS金融资产•RealAssets–Determinetheproductivecapacityandnetincomeoftheeconomy决定生产能力和经济净收入–Examples:Land,buildings,machines,knowledgeusedtoproducegoodsandservices土地、建筑、机器、知识技能•FinancialAssets–Claimsonrealassets实物资产的所有权INVESTMENTS|BODIE,KANE,MARCUS1-3FinancialAssets•Threetypes:1.Fixedincomeordebt债务2.Commonstockorequity股权3.Derivativesecurities衍生品INVESTMENTS|BODIE,KANE,MARCUS1-4FixedIncome固定收益•Paymentsfixedordeterminedbyaformula收益固定•Moneymarketdebt:shortterm,highlymarketable,usuallylowcreditrisk货币市场债券，短期，流动性好，信用风险低•Capitalmarketdebt:longtermbonds,canbesafeorrisky资本市场债务：长期债券，风险不确定INVESTMENTS|BODIE,KANE,MARCUS1-5CommonStockandDerivatives股票和衍生品•CommonStockisequityorownershipinacorporation.公司所有权–Paymentstostockholdersarenotfixed,butdependonthesuccessofthefirm收益依赖于公司表现•Derivatives衍生品–Valuederivesfrompricesofothersecurities,suchasstocksandbonds价值由基础资产价格决定–Usedtotransferrisk用于转移风险INVESTMENTS|BODIE,KANE,MARCUS1-6FinancialMarketsandtheEconomy金融市场与经济•InformationRole:Capitalflowstocompanieswithbestprospects信息作用，资金流向最优公司•ConsumptionTiming:Usesecuritiestostorewealthandtransferconsumptiontothefuture消费择时，使用证券储蓄并在未来消费INVESTMENTS|BODIE,KANE,MARCUS1-7FinancialMarketsandtheEconomy(Ctd.)•AllocationofRisk:Investorscanselectsecuritiesconsistentwiththeirtastesforrisk分配风险•SeparationofOwnershipandManagement:Withstabilitycomesagencyproblems分离所有权与经营权INVESTMENTS|BODIE,KANE,MARCUS1-8FinancialMarketsandtheEconomy(Ctd.)•CorporateGovernanceandCorporateEthics公司治理与公司伦理问题–AccountingScandals会计丑闻•Examples–Enron,RiteAid,HealthSouth–Auditors–watchdogsofthefirms审计–AnalystScandals分析师丑闻•ArthurAndersen–Sarbanes-OxleyAct萨班斯-奥克斯利法案•TightentherulesofcorporategovernanceINVESTMENTS|BODIE,KANE,MARCUS1-9TheInvestmentProcess投资过程•Assetallocation资产配置–Choiceamongbroadassetclasses资产种类的选择•Securityselection具体证券的选择–Choiceofwhichsecuritiestoholdwithinassetclass–SecurityanalysistovaluesecuritiesanddetermineinvestmentattractivenessINVESTMENTS|BODIE,KANE,MARCUS1-10MarketsareCompetitive竞争市场•Risk-ReturnTrade-Off风险回报关系•EfficientMarkets有效市场–ActiveManagement主动管理•Findingmispricedsecurities•TimingthemarketINVESTMENTS|BODIE,KANE,MARCUS1-11MarketsareCompetitive(Ctd.)–PassiveManagement被动管理•Noattempttofindundervaluedsecurities•Noattempttotimethemarket•Holdingahighlydiversifiedportfolio持有高度分散的组合INVESTMENTS|BODIE,KANE,MARCUS1-12ThePlayers玩家们•BusinessFirms–netborrowers公司•Households–netsavers家庭•Governments–canbebothborrowersandsavers政府INVESTMENTS|BODIE,KANE,MARCUS1-13ThePlayers(Ctd.)•FinancialIntermediaries:Poolandinvestfunds金融中介–InvestmentCompanies–Banks–Insurancecompanies–CreditunionsINVESTMENTS|BODIE,KANE,MARCUS1-14UniversalBankActivities普遍的银行行为InvestmentBanking•Underwritenewstockandbondissues•Sellnewlyissuedsecuritiestopublicintheprimarymarket•InvestorstradepreviouslyissuedsecuritiesamongthemselvesinthesecondarymarketsCommercialBanking•TakedepositsandmakeloansINVESTMENTS|BODIE,KANE,MARCUS1-15FinancialCrisisof2008金融危机•AntecedentsoftheCrisis:背景故事–“TheGreatModeration”:atimeinwhichtheU.S.hadastableeconomywithlowinterestratesandatamebusinesscyclewithonlymildrecessions稳健经济，低利率，平滑周期，温和衰退–Historicboominhousingmarket房地产市场的繁荣INVESTMENTS|BODIE,KANE,MARCUS1-16Figure1.3TheCase-ShillerIndexofU.S.HousingPrices凯斯-席勒指数INVESTMENTS|BODIE,KANE,MARCUS1-17ChangesinHousingFinance房产融资方式的改变OldWay•Localthriftinstitutionmademortgageloanstohomeowners•Thrift’smajorasset:aportfoliooflong-termmortgageloans•Thrift’smainliability:deposits•“Originatetohold”NewWay•Securitization:FannieMaeandFreddieMacboughtmortgageloansandbundledthemintolargepools•Mortgage-backedsecuritiesaretradableclaimsagainsttheunderlyingmortgagepool•“Originatetodistribute”INVESTMENTS|BODIE,KANE,MARCUS1-18Figure1.4CashFlowsinaMortgagePass-ThroughSecurity资产抵押证券现金流INVESTMENTS|BODIE,KANE,MARCUS1-19ChangesinHousingFinance(Ctd.)•Atfirst,FannieMaeandFreddieMacsecuritizedconformingmortgages,whichwerelowerriskandproperlydocumented.•Later,privatefirmsbegansecuritizingnonconforming“subprime”loanswithhigherdefaultrisk.–Littleduediligence–Placedhigherdefaultriskoninvestors–GreateruseofARMsand“piggyback”loansINVESTMENTS|BODIE,KANE,MARCUS1-20MortgageDerivatives抵押衍生品•Collateralizeddebtobligations(CDOs)–Mortgagepooldividedintoslicesortranchestoconcentratedefaultrisk–Seniortranches:Lowerrisk,highestrating–Juniortranches:Highrisk,loworjunkratingINVESTMENTS|BODIE,KANE,MARCUS1-21MortgageDerivatives•Problem:Ratingswerewrong!Riskwasmuchhigherthananticipated,evenfortheseniortranches•分级和定价出现了严重的错误INVESTMENTS|BODIE,KANE,MARCUS1-22WhywasCreditRiskUnderestimated?信用风险为何被低估•Nooneexpectedtheentirehousingmarkettocollapseallatonce•Geographicdiversificationdidnotreduceriskasmuchasanticipated•Agencyproblemswithratingagencies•CreditDefaultSwaps(CDS)didnotreduceriskasanticipatedINVESTMENTS|BODIE,KANE,MARCUS1-23CreditDefaultSwap(CDS)信用违约掉期•ACDSisaninsurancecontractagainstthedefaul